EM algorithm for stochastic hybrid systems
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A stochastic hybrid system, also known as a switching diffusion, is a continuous-time Markov process with state space consisting of discrete and continuous parts. We consider parametric estimations of the Q matrix for the discrete state transitions and of the drift coefficient for the diffusion part based on a partial observation where the continuous state is monitored continuously in time, while the discrete state is unobserved. Extending results for hidden Markov models developed by Elliot et al. [1], we derive a finite-dimensional filter and the EM algorithm for stochastic hybrid systems.
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